Whats the cheapest particles to use? Both in Blender Render and Cycles
I think the best thing to do is to benchmark. My five cents are that (personal best guess based on seven years of Blender usage, but not backed by actual tests):


If you are only rendering the particles (black or photographic background), you can get away by using only one (or 2 for antialias) sample in Cycles. It should be fast.
If you have something else Cycles-powered in the scene, you would have to crank up the samples, thus rendering bounces from  the particles. That could be a real pain. You may want to do a mixed composite.
If you are doing it in the internal in the first place, stick with it.


Using the "Halo" setting (in the internal) could give more pleasant results than "Billboard" if you are doing sparks or somesuch.

Cycleswise you could give a shot at the new point density input for a volume. It has the good side of not requiring you to make physical planes orient themselves to the camera. I am pretty sure it is far slower than anything else though.